Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 9 10 9
Score 5.75 10.62 7.45
Market Cap (Millions USD) 2475.76 2410.18 2374.84
Predicted Beta 0.74 0.73 0.75
Idiosyncratic Volatility 4.09 4.34 5.75

Annualized return and volatility

ICF
Annualized Return 0.0995
Annualized Std Dev 0.2909
Annualized Sharpe (Rf=0%) 0.3420

Row

Daily Return Statistics

ICF
Observations 4834.0000
NAs 280.0000
Minimum -0.2178
Quartile 1 -0.0056
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0073
Maximum 0.1817
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0011
Variance 0.0003
Stdev 0.0183
Skewness 0.1658
Kurtosis 21.4007

Downside Risk

ICF
Semi Deviation 0.0129
Gain Deviation 0.0148
Loss Deviation 0.0154
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0127
Downside Deviation (0%) 0.0127
Maximum Drawdown 0.7674
Historical VaR (95%) -0.0224
Historical ES (95%) -0.0435
Modified VaR (95%) -0.0208
Modified ES (95%) -0.0208
From Trough To Depth Length To Trough Recovery
2007-02-08 2009-03-06 2013-05-21 -0.7674 1608 535 1073
2004-04-02 2004-05-10 2004-08-24 -0.1883 101 27 74
2013-05-22 2013-08-19 2014-06-05 -0.1856 269 63 206
2002-04-15 2002-10-09 2003-05-12 -0.1786 278 127 151
2015-01-27 2015-09-04 2016-03-17 -0.1677 293 158 135

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec ICF
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA 1.2 0.0 -0.2 0.5 0.0 0.7 0.0 -0.3 2.0 0.0 0.0 3.9
2002 0.2 1.0 1.0 0.9 0.0 -0.5 -1.6 0.0 0.2 0.5 0.0 0.0 1.6
2003 0.0 0.0 2.0 0.6 0.0 1.3 -0.8 0.0 0.7 0.0 1.4 0.0 5.4
2004 0.0 1.1 1.1 0.0 -1.6 0.1 0.0 -0.5 1.9 1.1 2.2 0.0 5.4
2005 0.8 1.3 -0.1 0.0 1.2 1.0 -0.5 0.3 0.0 -2.6 1.2 0.0 2.5
2006 1.0 0.5 0.0 -1.4 2.2 0.0 -0.2 -0.7 0.0 -0.7 -0.2 0.0 0.4
2007 0.5 -0.8 0.0 -2.0 -0.3 0.0 1.1 0.0 2.2 -3.5 0.0 0.0 -3.0
2008 4.6 0.0 6.1 2.3 0.0 -0.1 -0.1 0.0 -1.9 0.0 -21.8 0.0 -13.1
2009 0.0 0.0 -1.4 -3.0 4.1 0.4 0.0 -5.5 -5.0 0.0 1.2 0.0 -9.2
2010 2.0 1.1 0.3 0.0 -2.0 0.0 0.0 3.3 0.5 0.9 0.9 0.0 7.2
2011 0.4 -3.1 0.2 0.0 -2.9 1.9 -1.8 -1.6 0.0 -3.6 -1.2 0.0 -11.2
2012 0.9 0.6 0.0 1.2 -2.6 0.0 -0.3 0.0 -0.7 0.4 0.0 0.0 -0.6
2013 0.6 0.4 0.4 -0.5 0.0 -0.6 -0.4 0.0 1.7 0.9 0.0 0.0 2.4
2014 0.0 0.0 0.4 0.7 0.0 0.4 -0.2 0.0 0.0 0.0 0.1 0.0 1.4
2015 0.0 0.0 -0.4 0.8 1.2 1.7 0.0 -2.0 0.5 0.0 1.6 0.0 3.4
2016 0.2 2.9 0.1 0.0 -0.2 -0.1 0.5 -0.3 0.0 -2.2 -1.6 0.0 -0.8
2017 -1.5 -0.5 0.0 0.6 0.1 0.0 0.4 0.3 0.0 0.5 0.4 0.0 0.4
2018 -2.4 0.3 0.0 1.2 0.4 0.0 0.7 0.0 -0.8 0.3 0.0 0.0 -0.3
2019 -0.7 -0.2 -0.1 0.4 0.0 -0.2 0.0 0.0 -1.0 -0.4 0.0 0.2 -2.0

Row

Rolling Performance Chart

Snail Trail Chart